The delta of a derivatives portfolio dependent on an index is 2,100. The index is currently 1,000.

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The delta of a derivatives portfolio dependent on an index is −2,100. The index is currently 1,000. Estimate what happens to the value of the portfolio when the index increases to 1,005.

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Risk Management And Financial Institutions

ISBN: 9781119932482

6th Edition

Authors: John C Hull

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Question Posted: Mar 08, 2024 01:00 AM

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The delta of a derivatives portfolio dependent on an index is 2,100. The index is currently 1,000.

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Risk Management And Financial Institutions

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